Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
- Mr.Marco Gross
- Dimitrios Laliotis
- Mindaugas Leika
- Pavel Lukyantsau
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Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective is written by Mr.Marco Gross and published by International Monetary Fund. It's available with International Standard Book Number or ISBN identification 1513549081 (ISBN 10) and 9781513549088 (ISBN 13).
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.
